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SPEPS Preprint

Author(s): Stein-Erik Fleten, Norwegian University of Science and Technology
Kjetil Høyland, Gjensidige Asset Management
Stein W. Wallace, Norwegian University of Science and Technology
Title: The performance of stochastic dynamic and fixed mix portfolio models
Date of Acceptance: 01.04.2000
Submission Date: 11.01.2000
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Keywords (eng): Stochastic programming, Nonlinear programming, Simulation, Portfolio selection, Asset liability management, Performance measurement
Appeared in: European journal of operational research : EJOR 1 (Vol. 140, 2002)
North-Holland Publ. Co. (Amsterdam)
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Abstract (eng):
The purpose of this paper is to demonstrate how to evaluate stochastic programming models, and more specifically to compare two different approaches to asset liability management. The first uses multistage stochastic programming, while the other is a static approach based on so-called constant rebalancing of fixed mix. Particular attention is paid to the methodology used for the comparison. The two alternatives are tested over a large number of realistic scenarios created by means of simulation. We find that due to the ability of the stochastic programming model to adapt to the information in the scenario tree, it dominates the fixed mix approach.
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